Results 81 to 90 of about 2,168 (228)

Relationship between uncertainty in the oil and stock markets before and after the shale gas revolution: Evidence from the OVX, VIX, and VKOSPI volatility indices.

PLoS ONE, 2020
We investigate the relationship between crude oil prices and stock markets. Unlike prior studies, we use implied volatility indices and evaluate the change in the relationship between the volatility indices through a sub-period analysis. Specifically, we
Sun-Yong Choi, Changsoo Hong
doaj   +1 more source

Global Factors in Noncore Bank Funding and Exchange Rate Flexibility

Journal of Money, Credit and Banking, EarlyView.
Abstract We show that fluctuations in the ratio of noncore to core funding in the banking systems of advanced economies are largely driven by three global factors of both real and financial natures, with country‐specific factors playing only a minor role. Exchange rate flexibility helps insulate the noncore to core ratio from such global factors.
LUÍS A.V. CATÃO, JAN DITZEN, DANIEL MARCEL TE KAAT   +2 more
wiley   +1 more source

Macroprudential Policy in the Euro Area

Journal of Money, Credit and Banking, EarlyView.
Abstract This paper examines the development and impact of macroprudential policies in the euro area. We construct a novel index that captures the stance of macroprudential policy, and we highlight its main stylized facts since the inception of the euro in 1999. We combine a narrative approach and a structural VAR method to show that both unanticipated
ÁLVARO FERNÁNDEZ‐GALLARDO, IVÁN PAYÁ   +1 more
wiley   +1 more source

Unveiling Inter-Market Reactions to Different Asset Classes/Commodities Pre- and Post-COVID-19: An Exploratory Qualitative Study

Economies
Comprehending intermarket relationships among asset classes/commodities and the changing dynamics among the gold, bitcoin, and oil markets under high or low-volatility indexes is now imperative for investors.
Siddhartha S. Bannerjee, Rekha Pillai, Mosab I. Tabash, Mujeeb Saif Mohsen Al-Absy   +3 more
doaj   +1 more source

FX Interventions and Capital‐Constrained Banks: Evidence from USD/ILS Spot, Forward, and Option Markets

Journal of Money, Credit and Banking, EarlyView.
Abstract Using confidential daily data, we examine the Bank of Israel's foreign exchange interventions from 2013 to 2019. We find that a 1 billion U.S. dollars (USD) purchase leads to a 0.82% depreciation of the Israeli Shekel (ILS)–a strong effect compared to other studies.
MARKUS HERTRICH, DANIEL NATHAN
wiley   +1 more source

The Mathematics of Finance: Pricing Volatility derivatives [PDF]

ITM Web of Conferences
In the increasingly complex world of financial markets, the scope of mathematical finance has expanded beyond traditional stock trading to include derivatives on various financial indices.
Phetpradap Parkpoom, Sripanitan Natkamon
doaj   +1 more source

A Comprehensive Revisit to the Safe‐Haven Assets Literature

Journal of Economic Surveys, EarlyView.
ABSTRACT A large number of studies examine the safe‐haven characteristics of different asset classes. However, this paper addresses a lack of systematic literature reviews and bibliometric analyses with a sound theoretical viewpoint the safe‐haven assets literature by focusing on 1305 studies published in top‐tier journals during 2013–2026 from the ...
Javed Bin Kamal, Sheena Sara Suresh Philip, Md. Lutfur Rahman, Asif ur Rashid Allis   +3 more
wiley   +1 more source

STOCK MARKET VOLATILITY AND THE FORECASTING ACCURACY OF IMPLIED VOLATILITY INDICES [PDF]

This study develops a new model-free benchmark of implied volatility for the Japanese stock market similar in construction to the new VIX based on the S&P 500 index.
Moo-Sung KIM, Kazuhiko NISHINA, Tatsuro Nabil MAGHREBI   +2 more
core  

Consumption in Asset Returns

The Journal of Finance, EarlyView.
ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD   +2 more
wiley   +1 more source

Shock transmission from global financial stress, bitcoin sentiment indices, U.S. and euro financial market uncertainty toward the GCC stock volatility

Cogent Business & Management
Most prior studies explain cross-country volatility interconnectedness without accounting for exogenous global uncertainty factors that influence equity returns. This study is the first to explore how major global uncertainty indicators such as U.S.
Abdullah A. Aljughaiman, Mosab I. Tabash, Suzan Sameer Issa, Abdulateif A. Almulhim   +3 more
doaj   +1 more source